Price Linkages in Selected Agricultural Industrial, Financial and Foreign Exchange Futures Markets Using Daily Data
OFOR Working Paper 94-10
Posted: 13 Sep 1999
Date Written: November 1994
The study investigates price relationships and linkages among different markets using daily futures prices of corn, live hogs, crude oil, Treasury bills, and deutsche marks with two alternative time series techniques. Results suggest that price linkages consistent over time are extremely limited.
JEL Classification: G13
Suggested Citation: Suggested Citation